| Metric | SPY | SYMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 191.25% | 120.84% |
| CAGR﹪ | 16.02% | 11.64% |
| Sharpe | 0.71 | 0.55 |
| Prob. Sharpe Ratio | 97.04% | 98.01% |
| Smart Sharpe | 0.61 | 0.55 |
| Sortino | 1.0 | 1.18 |
| Smart Sortino | 0.86 | 1.17 |
| Sortino/√2 | 0.71 | 0.83 |
| Smart Sortino/√2 | 0.61 | 0.82 |
| Omega | 1.18 | 1.21 |
| Max Drawdown | -33.72% | -17.43% |
| Max DD Date | 2020-03-23 | 2020-03-19 |
| Max DD Period Start | 2020-02-20 | 2020-01-22 |
| Max DD Period End | 2020-08-07 | 2021-02-11 |
| Longest DD Days | 708 | 807 |
| Volatility (ann.) | 19.57% | 16.98% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.48 | 0.67 |
| Skew | -0.27 | 19.19 |
| Kurtosis | 13.95 | 633.98 |
| Ulcer Performance Index | 23.87 | 22.62 |
| Risk-Adjusted Return | 16.02% | 12.38% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.89% | 0.56% |
| Avg. Loss | -0.99% | -0.62% |
| Win/Loss Ratio | 0.89 | 0.89 |
| Profit Ratio | 0.78 | 0.68 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.22% | 0.9% |
| Expected Yearly | 14.3% | 10.41% |
| Kelly Criterion | 4.7% | 2.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.71% |
| Expected Shortfall (cVaR) | -3.22% | -2.36% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.21 |
| Gain/Pain (1M) | 1.12 | 1.25 |
| Payoff Ratio | 0.89 | 0.89 |
| Profit Factor | 1.18 | 1.21 |
| Common Sense Ratio | 1.13 | 1.17 |
| CPC Index | 0.58 | 0.58 |
| Tail Ratio | 0.96 | 0.97 |
| Outlier Win Ratio | 3.7 | 3.3 |
| Outlier Loss Ratio | 4.12 | 3.62 |
| MTD | 1.47% | -2.03% |
| 3M | 1.46% | 4.05% |
| 6M | 6.94% | 4.6% |
| YTD | 13.33% | 15.04% |
| 1Y | 13.43% | 20.8% |
| 3Y (ann.) | 20.78% | 24.56% |
| 5Y (ann.) | 12.86% | 15.79% |
| 10Y (ann.) | 16.02% | 11.64% |
| All-time (ann.) | 16.02% | 11.64% |
| Best Day | 10.5% | 35.06% |
| Worst Day | -10.94% | -4.61% |
| Best Month | 12.7% | 31.55% |
| Worst Month | -12.49% | -6.88% |
| Best Year | 28.73% | 45.4% |
| Worst Year | -18.18% | -2.91% |
| Avg. Drawdown | -1.8% | -2.1% |
| Avg. Drawdown Days | 15 | 35 |
| Recovery Factor | 3.58 | 5.08 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.98 | 1.5 |
| Avg. Up Month | 4.18% | 2.72% |
| Avg. Down Month | -4.13% | -2.76% |
| Win Days | 55.05% | 54.29% |
| Win Month | 65.91% | 59.09% |
| Win Quarter | 76.67% | 70.0% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.33 |
| Alpha | - | 0.07 |
| Correlation | - | 37.56% |
| Treynor Ratio | - | 370.89% |
| Year | SPY | SYMAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 11.15 | -0.04 | -0.00 | - |
| 2020 | 18.33 | -2.91 | -0.16 | - |
| 2021 | 28.73 | 13.99 | 0.49 | - |
| 2022 | -18.18 | 5.75 | -0.32 | + |
| 2023 | 26.18 | 0.69 | 0.03 | - |
| 2024 | 24.89 | 45.40 | 1.82 | + |
| 2025 | 17.72 | 12.07 | 0.68 | - |
| 2026 | 13.33 | 15.04 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-22 | 2021-02-11 | -17.43 | 387 |
| 2022-06-08 | 2024-08-22 | -12.33 | 807 |
| 2025-02-11 | 2025-06-27 | -10.53 | 137 |
| 2021-10-27 | 2022-03-03 | -6.66 | 128 |
| 2026-05-19 | 2026-08-07 | -6.50 | 81 |
| 2026-03-02 | 2026-04-22 | -6.07 | 52 |
| 2021-05-11 | 2021-10-14 | -5.80 | 157 |
| 2024-09-25 | 2024-11-22 | -5.39 | 59 |
| 2022-04-21 | 2022-06-03 | -4.68 | 44 |
| 2019-09-12 | 2020-01-16 | -4.03 | 127 |